Information uncertainty related to marked random times and optimal investment
نویسندگان
چکیده
منابع مشابه
Information uncertainty related to marked random times and optimal investment
We study an optimal investment problem under default risk where related information such as loss or recovery at default is considered as an exogenous random mark added at default time. Two types of agents who have different levels of information are considered. We first make precise the insider’s information flow by using the theory of enlargement of filtrations and then obtain explicit logarit...
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ژورنال
عنوان ژورنال: Probability, Uncertainty and Quantitative Risk
سال: 2018
ISSN: 2367-0126
DOI: 10.1186/s41546-018-0029-8